Higher moment connectedness in cryptocurrency market

Mudassar Hasan, Muhammad Abubakr Naeem, Muhammad Arif and Larisa Yarovaya

Journal of Behavioral and Experimental Finance, 2021, vol. 32, issue C

Abstract: Using 5-minute data, we capture higher-moment connectedness among three dominant cryptocurrencies. We find a moderate realized-volatility connectedness wherein Bitcoin and Litecoin (Ripple and Binance Coin) emerge as the leading spillover receivers (transmitters). A robust realized-skewness connectedness is found between Bitcoin, Ethereum and Litecoin, while a strong realized-kurtosis connectedness between Bitcoin and Ethereum. Furthermore, a time-varying connectedness analysis exhibits an enhanced higher-moment connectedness in the cryptocurrency market, which peaks during the COVID-19 pandemic. The study carries critical implications for higher-order pricing in the cryptocurrency market.

Keywords: Cryptocurrencies; High-frequency connectedness; Higher-moments; Spillovers (search for similar items in EconPapers)
JEL-codes: C5 C58 G10 G15 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (28)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:beexfi:v:32:y:2021:i:c:s2214635021001064

DOI: 10.1016/j.jbef.2021.100562

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